It's said that, when you dream, your life might be in danger sometimes; every now and again, your nightmare has you just inches from death, but you never really die.
I died in my nightmare, once.
You know how, when you wake up from a dream or nightmare, it takes you a while to recall exactly what was happening. Not for me. I woke up, and the moment of my death instantly replayed in my head once, twice, again and again.
I'm not going to lie: I was 20 when I had that nightmare, and when I woke up with the memory of my imagined death firmly in my mind, I was shaking in fear.
And of course, I can still recall exactly how that nightmare played out. I was coming out of a talent agent's office, happy as can be, for I had landed a role in a big movie, for indeed, acting is something I aspire to. Out of nowhere, in comes a guy with a big gun; one shot, and I'm down. I sucked in one final breath, twitched a little, then exhaled and became still. It wasn't until then that I woke up.
So, to answer the topic question, yes, I've felt a bad pain in my dreams. Oh, and this is beside the various "getting an injection" scenario, waking up, and feeling like I'm being injected in the exact same area as my nightmare.